D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2024
- Extent and Intensity
- 1/1/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
- Guaranteed by
- doc. RNDr. Petr Budinský, CSc.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Dita Egertová - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Learning outcomes
- Ability of scientific and research work in field of study.
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2023
- Extent and Intensity
- 1/1/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
- Teacher(s)
- doc. RNDr. Petr Budinský, CSc. (lecturer)
- Guaranteed by
- doc. RNDr. Petr Budinský, CSc.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Dita Egertová - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Learning outcomes
- Ability of scientific and research work in field of study.
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2022
- Extent and Intensity
- 1/1/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
- Teacher(s)
- doc. RNDr. Petr Budinský, CSc. (lecturer)
prof. RNDr. Jiří Witzany, Ph.D. (lecturer) - Guaranteed by
- doc. RNDr. Petr Budinský, CSc.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Ivana Plačková - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Learning outcomes
- Ability of scientific and research work in field of study.
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2021
- Extent and Intensity
- 1/1/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
- Teacher(s)
- doc. RNDr. Petr Budinský, CSc. (lecturer)
prof. RNDr. Jiří Witzany, Ph.D. (lecturer) - Guaranteed by
- doc. RNDr. Petr Budinský, CSc.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Learning outcomes
- Ability of scientific and research work in field of study.
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2020
- Extent and Intensity
- 1/1/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
- Teacher(s)
- doc. Ing. Jaroslav Brada, Ph.D. (lecturer)
- Guaranteed by
- doc. Ing. Jaroslav Brada, Ph.D.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Learning outcomes
- Ability of scientific and research work in field of study.
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2019
- Extent and Intensity
- 1/1. 10 credit(s). Type of Completion: DZk (doctoral examination).
- Guaranteed by
- doc. Ing. Jaroslav Brada, Ph.D.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Learning outcomes
- Ability of scientific and research work in field of study.
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2018
- Extent and Intensity
- 1/1. 10 credit(s). Type of Completion: DZk (doctoral examination).
- Guaranteed by
- doc. Ing. Jaroslav Brada, Ph.D.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Learning outcomes
- Ability of scientific and research work in field of study.
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2017
- Extent and Intensity
- 1/1. 10 credit(s). Type of Completion: DZk (doctoral examination).
- Teacher(s)
- doc. Ing. Jaroslav Brada, Ph.D. (lecturer)
doc. Ing. Jan Vlachý, Ph.D. (lecturer) - Guaranteed by
- doc. Ing. Jaroslav Brada, Ph.D.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2016
- Extent and Intensity
- 1/1. 10 credit(s). Type of Completion: DZk (doctoral examination).
- Teacher(s)
- doc. Ing. Jaroslav Brada, Ph.D. (lecturer)
doc. Ing. Jan Vlachý, Ph.D. (lecturer) - Guaranteed by
- doc. Ing. Jaroslav Brada, Ph.D.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2015
- Extent and Intensity
- 1/1. 10 credit(s). Type of Completion: DZk (doctoral examination).
- Guaranteed by
- doc. Ing. Jaroslav Brada, Ph.D.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2014
- Extent and Intensity
- 1/1. 10 credit(s). Type of Completion: DZk (doctoral examination).
- Teacher(s)
- doc. Ing. Jaroslav Brada, Ph.D. (lecturer)
doc. Ing. Jan Vlachý, Ph.D. (lecturer) - Guaranteed by
- doc. Ing. Jaroslav Brada, Ph.D.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2013
- Extent and Intensity
- 1/1. Type of Completion: DZk (doctoral examination).
- Teacher(s)
- doc. Ing. Jaroslav Brada, Ph.D. (lecturer)
doc. Ing. Jan Vlachý, Ph.D. (lecturer) - Guaranteed by
- doc. Ing. Jaroslav Brada, Ph.D.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia, 0.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2012
- Extent and Intensity
- 1/1. Type of Completion: DZk (doctoral examination).
- Guaranteed by
- doc. Ing. Jaroslav Brada, Ph.D.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites
- Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives
- At the end of the coursE students should be able to do scientific research in field of "risk management".
- Syllabus
- Subject of study consists following parts:
- Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
- Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
- Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
- Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
- Methods of setup risk exposition in financial market institutions.
- Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
- Scoring function construction.
- Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods
- Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
- Assessment methods
- Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
General note: Předmět doktorského studia, 0.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationWinter 2011
- Extent and Intensity
- 1/1. Type of Completion: DZk (doctoral examination).
- Guaranteed by
- doc. Ing. Jaroslav Brada, Ph.D.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites (in Czech)
- Znalost vysokoškolské matematiky a statistiky v rozsahu standardně vyučovaných vysokoškolských kurzů. Orientace v problematice podnikových financí a účetnictví. Je vhodná znalost stochastického modelování a schopnost programovat v libovolném programovacím jazyce. Výhodou je rovněž orientace v problematice národních i mezinárodních účetních standardů.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Syllabus (in Czech)
- Předmět obsahuje následující tematické celky:
- Matematická teorie rizika, způsoby matematického popisu rizik, Extreme Value Theory, Value-at-Risk (VaR).
- Problematika koherentních měr rizika, problematika kompozici a dekompozice složek tvořících celkové riziko zkoumaného portfolia; Markowitzův model a jeho varianty.
- Metodologie řízení kreditních rizik (KMV a CreditMetrics) a tržních rizik (RiskMetrics, RiskGrades).
- Matematické modelování rizik používané u BASLE II (modely tržních, kreditních a operačních rizik) a SOLVENCY II. Problematika BASLE III.
- Postupy stanovení limitů rizikových expozic v institucích působících na finančním trhu.
- Postupy stanovení velikosti rizikových expozic vůči kreditnímu riziku u obchodních společností na základě analýzy dostupných informací; druhy ratingů a metodologie jejich tvorby.
- Způsoby konstrukce skóringových funkcí.
- Problematika přenosu rizik pomocí cenných papírů - poučení z kolapsu trhu tzv. odvozených cenných papírů ABS (CDO, CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods (in Czech)
- Výuka probíhá formou přednášek a navazujících seminářů. Semináře souvisejí s tématy seminárních prací studentů doktorského studia. Studenti na seminářích prezentují průběžné výsledky dosažené při zpracování svých zadaných seminárních prací.
- Assessment methods (in Czech)
- Vypracování závěrečné seminární práce na téma dohodnuté s přednášejícím v rozsahu cca 20-30 stran textu.
Závěrečný písemný test a ústní přezkoušení ze získaných znalostí a obhajoba doktorandem vypracované seminární práce. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- The course can also be completed outside the examination period.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
D_MRFR Methods of financial risk management
University of Finance and AdministrationSummer 2011
- Extent and Intensity
- 1/1. Type of Completion: DZk (doctoral examination).
- Teacher(s)
- doc. Ing. Jaroslav Brada, Ph.D. (seminar tutor)
- Guaranteed by
- doc. Ing. Jaroslav Brada, Ph.D.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná - Prerequisites (in Czech)
- Znalost vysokoškolské matematiky a statistiky v rozsahu standardně vyučovaných vysokoškolských kurzů. Orientace v problematice podnikových financí a účetnictví. Je vhodná znalost stochastického modelování a schopnost programovat v libovolném programovacím jazyce. Výhodou je rovněž orientace v problematice národních i mezinárodních účetních standardů.
- Course Enrolment Limitations
- The course is offered to students of any study field.
- Syllabus (in Czech)
- Předmět obsahuje následující tematické celky:
- Matematická teorie rizika, způsoby matematického popisu rizik, Extreme Value Theory, Value-at-Risk (VaR).
- Problematika koherentních měr rizika, problematika kompozici a dekompozice složek tvořících celkové riziko zkoumaného portfolia; Markowitzův model a jeho varianty.
- Metodologie řízení kreditních rizik (KMV a CreditMetrics) a tržních rizik (RiskMetrics, RiskGrades).
- Matematické modelování rizik používané u BASLE II (modely tržních, kreditních a operačních rizik) a SOLVENCY II. Problematika BASLE III.
- Postupy stanovení limitů rizikových expozic v institucích působících na finančním trhu.
- Postupy stanovení velikosti rizikových expozic vůči kreditnímu riziku u obchodních společností na základě analýzy dostupných informací; druhy ratingů a metodologie jejich tvorby.
- Způsoby konstrukce skóringových funkcí.
- Problematika přenosu rizik pomocí cenných papírů - poučení z kolapsu trhu tzv. odvozených cenných papírů ABS (CDO, CMO).
- Literature
- required literature
- Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
- Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
- Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
- Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
- recommended literature
- Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
- Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
- Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
- Teaching methods (in Czech)
- Výuka probíhá formou přednášek a navazujících seminářů. Semináře souvisejí s tématy seminárních prací studentů doktorského studia. Studenti na seminářích prezentují průběžné výsledky dosažené při zpracování svých zadaných seminárních prací.
- Assessment methods (in Czech)
- Vypracování závěrečné seminární práce na téma dohodnuté s přednášejícím v rozsahu cca 20-30 stran textu.
Závěrečný písemný test a ústní přezkoušení ze získaných znalostí a obhajoba doktorandem vypracované seminární práce. - Language of instruction
- Czech
- Further comments (probably available only in Czech)
- Information on the extent and intensity of the course: 12 hodin/semestr.
- Enrolment Statistics (recent)